Narrow search
Showing 1 - 3 of 3
Cover Image
Smooth-Transition GARCH Models
González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2
intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10014620812
Cover Image
Smooth-Transition GARCH Models
Gloria González-Rivera - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2, pp. 61-78
intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10005046473
Cover Image
Smooth-Transition GARCH Models
González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 2, pp. 61-78
intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10004966180